Constant Proportion Portfolio Insurance (CPPI) is a strategy designed to give participation in a risky asset while protecting the invested capital. Some gap risk due to extreme events is often kept by the issuer of the product: a put option on the CPPI strategy is included in the product. In this paper we present a new…
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8 results for “CPPI”
In the present paper we provide a two-step principal protection strategy obtained by combining a modification of the Constant Proportion Portfolio Insurance (CPPI) algorithm and a classical Option Based Portfolio Insurance (OBPI) mechanism. Such a novel approach consists in assuming that the percentage of wealth invest…
One-Dimensional Pricing of CPPIq-fin.PR
Constant Proportion Portfolio Insurance (CPPI) is an investment strategy designed to give participation in the performance of a risky asset while protecting the invested capital. This protection is however not perfect and the gap risk must be quantified. CPPI strategies are path-dependent and may have American exercise…
Model-free CPPIq-fin.PM
We consider Constant Proportion Portfolio Insurance (CPPI) and its dynamic extension, which may be called Dynamic Proportion Portfolio Insurance (DPPI). It is shown that these investment strategies work within the setting of Föllmer's pathwise Itô calculus, which makes no probabilistic assumptions whatsoever. This show…
Optimizing Trading Strategies in Quantitative Markets using Multi-Agent Reinforcement Learningq-fin.TR
This paper combines RL with CPPI and TIPP for better trading strategies.
problem Challenges in quantitative trading due to swift dynamics and uncertainties.
method Fusion of CPPI and TIPP with MADDPG framework for multi-agent reinforcement learning.
result CPPI-MADDPG and TIPP-MADDPG outperform traditional strategies in real-market shares.
This study compares VaR-based portfolio insurance with CPPI in a regime-switching market.
problem Designing dynamic portfolio insurance strategies in a market with multiple regimes.
method Extends VaR-based portfolio insurance to a Markov-modulated regime-switching market, comparing it to CPPI.
result CPPI strategy generally offers better risk-return tradeoff and stability.
In this paper, we solve portfolio rebalancing problem when security returns are represented by uncertain variables considering transaction costs. The performance of the proposed model is studied using constant-proportion portfolio insurance (CPPI) as rebalancing strategy. Numerical results showed that uncertain paramet…
The purpose of this article is to introduce, analyze and compare two performance participation methods based on a portfolio consisting of two risky assets: Option-Based Performance Participation (OBPP) and Constant Proportion Performance Participation (CPPP). By generalizing the provided guarantee to a participation in…